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Gregory Connor : Citation Profile


Are you Gregory Connor?

Maynooth University

12

H index

12

i10 index

711

Citations

RESEARCH PRODUCTION:

14

Articles

32

Papers

1

Books

1

Chapters

RESEARCH ACTIVITY:

   32 years (1984 - 2016). See details.
   Cites by year: 22
   Journals where Gregory Connor has often published
   Relations with other researchers
   Recent citing documents: 41.    Total self citations: 15 (2.07 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pco532
   Updated: 2018-02-17    RAS profile: 2016-12-06    
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Relations with other researchers


Works with:

Flavin, Thomas (4)

Korajczyk, Robert (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Gregory Connor.

Is cited by:

Swanson, Norman (20)

Bai, Jushan (18)

Pesaran, M (16)

Forni, Mario (15)

Jagannathan, Ravi (15)

Marcellino, Massimiliano (13)

Reichlin, Lucrezia (13)

Ng, Serena (12)

Koopman, Siem Jan (12)

Gambetti, Luca (11)

Zhou, Guofu (10)

Cites to:

Fama, Eugene (30)

French, Kenneth (28)

Korajczyk, Robert (21)

Campbell, John (19)

Reinhart, Carmen (18)

Engle, Robert (15)

LINTON, OLIVER (14)

Jagannathan, Ravi (11)

Bollerslev, Tim (10)

Gorton, Gary (9)

Shanken, Jay (9)

Main data


Where Gregory Connor has published?


Journals with more than one article published# docs
Journal of International Money and Finance2
Journal of Financial Economics2

Working Papers Series with more than one paper published# docs
Economics, Finance and Accounting Department Working Paper Series / Department of Economics, Finance and Accounting, National University of Ireland - Maynooth11
Research Program in Finance Working Papers / University of California at Berkeley7

Recent works citing Gregory Connor (2018 and 2017)


YearTitle of citing document
2017Russian-Doll Risk Models. (2017). Kakushadze, Zura. In: Papers. RePEc:arx:papers:1412.4342.

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2017Statistical Risk Models. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1602.08070.

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2017Statistical Industry Classification. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1607.04883.

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2017Random matrix approach to estimation of high-dimensional factor models. (2017). Yeo, Joongyeub ; Papanicolaou, George . In: Papers. RePEc:arx:papers:1611.05571.

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2017A diagnostic criterion for approximate factor structure. (2017). Scaillet, Olivier ; Gagliardini, Patrick ; Ossola, Elisa . In: Papers. RePEc:arx:papers:1612.04990.

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2017*K-means and Cluster Models for Cancer Signatures. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1703.00703.

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2017Principal Components and Regularized Estimation of Factor Models. (2017). Ng, Serena ; Bai, Jushan. In: Papers. RePEc:arx:papers:1708.08137.

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2017Uniform Inference for Conditional Factor Models with Instrumental and Idiosyncratic Betas. (2017). Yang, Xiye ; Liao, Yuan. In: Papers. RePEc:arx:papers:1711.04392.

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2017A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering. (2017). Verma, Anshul ; di Matteo, Tiziana ; Buonocore, Riccardo Junior . In: Papers. RePEc:arx:papers:1712.02138.

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2017Factor Modelling for High-Dimensional Time Series: Inference and Model Selection. (2017). Rao, Tata Subba ; Yau, Chun Yip ; Lu, YE ; Chan, Ngai Hang ; Wilson, Granville Tunnicliffe . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:2:p:285-307.

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2017Dissecting Characteristics Nonparametrically. (2017). Weber, Michael ; Freyberger, Joachim ; Neuhierl, Andreas . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6391.

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2017Quantile Factor Models. (2017). Dolado, Juan ; Chen, Liang ; Muoz, Jesus Gonzalo. In: UC3M Working papers. Economics. RePEc:cte:werepe:25299.

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2017Accurate Subsampling Intervals of Principal Components Factors. (2017). Ruiz, Esther ; de Vicente, Javier . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:23974.

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2017Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models. (2017). Soccorsi, Stefano ; Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/248676.

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2017Least squares estimation of large dimensional threshold factor models. (2017). Massacci, Daniele . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:101-129.

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2017Determining the number of factors when the number of factors can increase with sample size. (2017). Shi, Yutang ; Li, QI. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:76-86.

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2017Sufficient forecasting using factor models. (2017). Yao, Jiawei ; Fan, Jianqing ; Xue, Lingzhou . In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:292-306.

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2017Generalized dynamic factor models and volatilities: estimation and forecasting. (2017). Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:307-321.

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2017Using principal component analysis to estimate a high dimensional factor model with high-frequency data. (2017). Xiu, Dacheng ; Ait-Sahalia, Yacine. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:384-399.

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2017Influence of storm surge on tidal range energy. (2017). Lewis, M J ; Neill, S P ; Evans, P S ; Robins, P E ; Angeloudis, A. In: Energy. RePEc:eee:energy:v:122:y:2017:i:c:p:25-36.

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2017A new weighting-scheme for equity indexes. (2017). Chevallier, Julien ; Aboura, Sofiane. In: International Review of Financial Analysis. RePEc:eee:finana:v:54:y:2017:i:c:p:159-175.

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2017European equity market integration and joint relationship of conditional volatility and correlations. (2017). Virk, Nader ; Javed, Farrukh . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:71:y:2017:i:c:p:53-77.

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2017Level and volatility factors in macroeconomic data. (2017). Ng, Serena ; Gorodnichenko, Yuriy. In: Journal of Monetary Economics. RePEc:eee:moneco:v:91:y:2017:i:c:p:52-68.

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2017Assessing the influence of sea level rise on tidal power output and tidal energy dissipation near a channel. (2017). Chen, Wei-Bo ; Liu, Wen-Cheng . In: Renewable Energy. RePEc:eee:renene:v:101:y:2017:i:c:p:603-616.

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2017Close-proximity tidal phasing for ‘firm’ electricity supply. (2017). Commin, Andrew N ; Gibb, Stuart W ; McClatchey, John . In: Renewable Energy. RePEc:eee:renene:v:102:y:2017:i:pb:p:380-389.

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2017Experimental study on scour profile of pile-supported horizontal axis tidal current turbine. (2017). Chen, Long ; Motamedi, Shervin ; Othman, Faridah ; Hashim, Roslan. In: Renewable Energy. RePEc:eee:renene:v:114:y:2017:i:pb:p:744-754.

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2017Techno-economic challenges of tidal energy conversion systems: Current status and trends. (2017). Segura, E ; Lopez, A ; Somolinos, J A ; Morales, R. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:77:y:2017:i:c:p:536-550.

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2017Bond market integration in East Asia: Multivariate GARCH with dynamic conditional correlations approach. (2017). Tsukuda, Yoshihiko ; Miyakoshi, Tatsuyoshi ; Shimada, Junji. In: International Review of Economics & Finance. RePEc:eee:reveco:v:51:y:2017:i:c:p:193-213.

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2017Housing and Financial Stability : a speech at the DNB-Riksbank Macroprudential Conference Series, Amsterdam, Netherlands, June 20, 2017.. (2017). Fischer, Stanley . In: Speech. RePEc:fip:fedgsq:956.

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2017Dynamic Semiparametric Factor Model with a Common Break. (2017). Chen, Likai ; Wu, Wei Biao ; Wang, Weining. In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2017-026.

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2017A Generalized Factor Model with Local Factors. (2017). Freyaldenhoven, Simon. In: 2017 Papers. RePEc:jmp:jm2017:pfr361.

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2017Asset Pricing and Excess Returns over the Market Return. (2017). Ahn, Seung C ; Horenstein, Alex R. In: Working Papers. RePEc:mia:wpaper:2017-12.

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2017Estimation and inference in semiparametric quantile factor models. (2017). GAO, Jiti ; Linton, Oliver ; Ma, Shujie. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2017-8.

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2017Dissecting Characteristics Nonparametrically. (2017). Weber, Michael ; Freyberger, Joachim ; Neuhierl, Andreas . In: NBER Working Papers. RePEc:nbr:nberwo:23227.

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2017Inference on Risk Premia in the Presence of Omitted Factors. (2017). Giglio, Stefano ; Xiu, Dacheng. In: NBER Working Papers. RePEc:nbr:nberwo:23527.

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2017Level and Volatility Factors in Macroeconomic Data. (2017). Ng, Serena ; Gorodnichenko, Yuriy. In: NBER Working Papers. RePEc:nbr:nberwo:23672.

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2017A Dynamic Correlation Analysis of Financial Contagion: Evidence from the Eurozone Stock Markets. (2017). Trabelsi, Mohamed Ali ; Hmida, Salma. In: MPRA Paper. RePEc:pra:mprapa:83718.

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2017Uniform Inference for Conditional Factor Models with Instrumental and Idiosyncratic Betas. (2017). Yang, Xiye ; Liao, Yuan. In: Departmental Working Papers. RePEc:rut:rutres:201711.

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2017Co-movements and contagion between international stock index futures markets. (2017). Tiwari, Aviral ; Albulescu, Claudiu ; Goyeau, Daniel. In: Empirical Economics. RePEc:spr:empeco:v:52:y:2017:i:4:d:10.1007_s00181-016-1113-5.

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2017Risk bounds for factor models. (2017). Vanduffel, Steven ; Wang, Ruodu ; Ruschendorf, Ludger ; Bernard, Carole. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0328-4.

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2017Constrained principal components estimation of large approximate factor models. (2017). Ouysse, Rachida. In: Discussion Papers. RePEc:swe:wpaper:2017-12.

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Works by Gregory Connor:


YearTitleTypeCited
1993 A Test for the Number of Factors in an Approximate Factor Model. In: Journal of Finance.
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article158
2012Sliding Doors Cost Measurement: The Net Economic Cost of Lax Regulation of the Irish Banking Sector In: The World Economy.
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article2
2006Semiparametric Estimation of aCharacteristic-based Factor Model ofCommon Stock Returns In: STICERD - Econometrics Paper Series.
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paper14
2007Semiparametric estimation of a characteristic-based factor model of common stock returns.(2007) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 14
article
2006Semiparametric estimation of a characteristic-based factor model of common stock returns.(2006) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
2007Efficient Estimation of a SemiparametricCharacteristic-Based Factor Model of Security Returns In: STICERD - Econometrics Paper Series.
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paper5
2007Efficient estimation of a semiparametric characteristic-based factor model of security returns.(2007) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
2007Efficient Estimation of a Semiparametric Characteristic- Based Factor Model of Security Returns.(2007) In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
2007Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns.(2007) In: FMG Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
2007Efficient estimation of a semiparametric characteristic-based factor model of security returns.(2007) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
2015A Synthesis of Two Factor Estimation Methods In: Journal of Financial and Quantitative Analysis.
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article1
2012Efficient Semiparametric Estimation of the Fama–French Model and Extensions In: Econometrica.
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article21
2006The common and specific components of dynamic volatility In: Journal of Econometrics.
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article17
1984A unified beta pricing theory In: Journal of Economic Theory.
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article65
1986Performance measurement with the arbitrage pricing theory : A new framework for analysis In: Journal of Financial Economics.
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article193
1988Risk and return in an equilibrium APT : Application of a new test methodology In: Journal of Financial Economics.
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article141
2015Strategic, unaffordability and dual-trigger default in the Irish mortgage market In: Journal of Housing Economics.
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article1
2012The U.S. and Irish credit crises: Their distinctive differences and common features In: Journal of International Money and Finance.
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article13
2010The U.S. and Irish Credit Crises: Their Distinctive Differences and Common Features.(2010) In: Economics, Finance and Accounting Department Working Paper Series.
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This paper has another version. Agregated cites: 13
paper
2013Dynamic stock market covariances in the Eurozone In: Journal of International Money and Finance.
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article9
2012Dynamic Stock Market Covariances in the Eurozone.(2012) In: Economics, Finance and Accounting Department Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
2006Regulating the output characteristics of tidal current power stations to facilitate better base load matching over the lunar cycle In: Renewable Energy.
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article15
2004An Introduction to hedge funds In: LSE Research Online Documents on Economics.
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paper1
2001Tests of the Fama and French model in India In: LSE Research Online Documents on Economics.
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paper3
2000Semiparametric Estimation of a Characteristic-Based Factor Model of Stock Returns In: FMG Discussion Papers.
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paper1
2001A Structured GARCH Model of Daily Equity Return Volatility In: FMG Discussion Papers.
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paper0
2001Tests of the Fama Model in India In: FMG Discussion Papers.
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paper0
2004(IAM Series No 002) An Intro to Hedge Funds In: FMG Discussion Papers.
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paper0
2012A Coasean Approach to Bank Resolution Policy in the Eurozone In: FMG Special Papers.
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paper2
2012A Coasean Approach to Bank Resolution Policy in the Eurozone.(2012) In: Economics, Finance and Accounting Department Working Paper Series.
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This paper has another version. Agregated cites: 2
paper
2009Market Dispersion and the Profitability of Hedge Funds In: Economics, Finance and Accounting Department Working Paper Series.
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paper1
2009The Risky Lending Gap In: Economics, Finance and Accounting Department Working Paper Series.
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paper0
2010Sliding Doors Cost Measurement.A Restrictive Approach to Analyzing the Net Economic Cost of Policy Decisions and an Application to Irish Financial Regulation In: Economics, Finance and Accounting Department Working Paper Series.
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paper0
2013Irish Mortgage Default Optionality In: Economics, Finance and Accounting Department Working Paper Series.
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paper0
2014Unpublished Appendix:Ancillary Results and Robustness Checks on a Probit Model of Irish Mortgage Defaults In: Economics, Finance and Accounting Department Working Paper Series.
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paper0
2014A Performance Comparison of Large-n Factor Estimators In: Economics, Finance and Accounting Department Working Paper Series.
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paper0
2015Restructuring and Recovery of the Irish Financial Sector: An Economic Case History V2 In: Economics, Finance and Accounting Department Working Paper Series.
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paper1
2016-Adjusted p-values for genome-wide regression analysis with non-normally distributed quantitative phenotypes In: Economics, Finance and Accounting Department Working Paper Series.
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paper0
2010Introduction In: Introductory Chapters.
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chapter3
2010Portfolio Risk Analysis In: Economics Books.
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book2
1985Arbitrage Pricing Theory: The Way Forward In: Australian Journal of Management.
[Full Text][Citation analysis]
article0
1987Estimating Pervasive Economic Factors with Missing Observations. In: Research Program in Finance Working Papers.
[Citation analysis]
paper14
1987Risk and Return in an Equilibrium APT. In: Research Program in Finance Working Papers.
[Citation analysis]
paper13
1987New Cross-Sectional Regression Tests of Beta Pricing Models. In: Research Program in Finance Working Papers.
[Citation analysis]
paper0
1987An Intertemporal Equilibrium Beta Pricing Model. In: Research Program in Finance Working Papers.
[Citation analysis]
paper2
1988The Attributes, Behavior and Performance of U.S. Mutual Funds. In: Research Program in Finance Working Papers.
[Citation analysis]
paper12
1990The Relationship Between Non- Arbitrage and Recursive Competitive Equilibrium Pricing. In: Research Program in Finance Working Papers.
[Citation analysis]
paper0
1995Optimal Cash Management for Investment Funds. In: Research Program in Finance Working Papers.
[Citation analysis]
paper1

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated January, 12 2018. Contact: CitEc Team